Crude Volatility Slips as Futures Rise U.S. Jobs Report

Crude oil options volatility slipped as West Texas Intermediate gained on a better-than-expected U.S. jobs report.

Implied volatility for at-the-money options expiring in May, a measure of expected price swings in futures and a gauge of options prices, was 18.82 percent at 3:02 p.m. on the New York Mercantile Exchange, down from 19.54 percent yesterday.

Crude oil for April delivery gained 39 cents, or 0.4 percent, to settle at $91.95 a barrel on the Nymex, after earlier falling by as much as 73 cents. The May contract gained 40 cents to $92.43 a barrel.

U.S. employment rose 236,000 last month after a revised 119,000 gain in January that was smaller than first estimated, Labor Department figures showed today in Washington. The median forecast of 90 economists surveyed by Bloomberg projected an advance of 165,000. The jobless rate dropped from 7.9 percent.

The most-active options in electronic trading today were April $90 puts, which slipped 12 cents to 30 cents a barrel at 3:27 p.m. on volume of 2,680 contracts. April $94 calls, the second-most active with 1,873 lots, fell 1 cent to 18 cents a barrel.

Puts, or bets that prices would fall, accounted for 54 percent of electronic trading volume. In the previous session, calls made up 52 percent of the 110,379 contracts traded.

May $80 puts were the most active options traded yesterday, with 3,870 contracts changing hands. They dropped 9 cents to 16 cents a barrel. April $95 calls gained 1 cent to 10 cents a barrel on volume of 3,458 contracts.

Open interest was highest for December $105 calls with 36,319 contracts. Next were April $110 calls at 34,191 and June $90 puts at 31,149.

The exchange distributes real-time data for electronic trading and releases information the next business day on open-outcry volume, where the bulk of options activity occurs.

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